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Document type:
Buchbeitrag 
Author(s):
Mai, J.-F.; Scherer, M. 
Non-TUM Co-author(s):
ja 
Cooperation:
national 
Title:
Simulating from the copula that generates the maximal probability for a joint default under given (inhomogeneous) marginals 
Abstract:
Starting from two default times with given univariate distribution functions, the copula which maximizes the probability of a joint default can be computed in closed form. This result can be retrieved from Markov-chain theory, where it is known under the terminology "maximal coupling", but typically formulated without copulas. For inhomogeneous marginals the solution is not represented by the comonotonicity copula, opposed to a common modeling (mal-)practice in the financial industry. Moreover,...    »
 
Book title:
Topics in Statistical Simulation 
Intellectual Contribution:
Discipline-based Research 
Publisher:
Springer 
Publisher address:
New York 
Year:
2014 
Month:
May 
Bookseries title:
Springer Proceedings in Mathematics & Statistics 
Bookseries volume:
114 
Reviewed:
ja 
Language:
en 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Category:
research